The Greeks and Hedging Explained
A practical guide to basic and intermediate hedging techniques for traders, structerers and risk management quants. This book fills a gap for a technical but not impenetrable guide to hedging options, and the 'Greek' (Theta, Vega, Rho and Lambda) -paramet
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Financial Engineering Explained About the series Financial Engineering Explained is a series of concise, practical guides to modern finance, focusing on key, technical areas of risk management and asset pricing. Written for practitioners, researchers and students, the series discusses a range of topics in a non-mathematical but highly intuitive way. Each self-contained volume is dedicated to a specific topic and offers a thorough introduction with all the necessary depth, but without too much technical ballast. Where applicable, theory is illustrated with real world examples, with special attention to the numerical implementation. Series Editor: Wim Schoutens, Department of Mathematics, Catholic University of Leuven. Series Advisory Board: Peter Carr, Executive Director, NYU Mathematical Finance; Global Head of Market Modeling, Morgan Stanley. Ernst Eberlein, Department of Mathematical Stochastics, University of Freiburg. Matthias Scherer, Chair of Mathematical Finance, Technische Universität München. Titles in the series: Equity Derivatives Explained, Mohamed Bouzoubaa The Greeks and Hedging Explained, Peter Leoni Forthcoming titles: Smile Pricing Explained, Peter Austing Interest Rates Explained Volume 1, Jörg Kienitz Interest Rates Explained Volume 2, Jörg Kienitz Dependence Modeling Explained, Matthias Scherer and Jan-Frederik Mai Submissions: Wim Schoutens – [email protected]
Financial Engineering Explained series Series Standing Order ISBN: 978–1137–32733–8 You can receive future titles in this series as they are published by placing a standing order. Please contact your bookseller or, in case of difficulty, write to us at the address below with your name and address, the title of the series and the ISBN quoted above. Customer Services Department, Macmillan Distribution Ltd, Houndmills, Basingstoke, Hampshire RG21 6XS, England
The Greeks and Hedging Explained Peter Leoni KU Leuven, Belgium
© Peter Leoni 2014 All rights reserved. No reproduction, copy or transmission of this publication may be made without written permission. No portion of this publication may be reproduced, copied or transmitted save with written permission or in accordance with the provisions of the Copyright, Designs and Patents Act 1988, or under the terms of any licence permitting limited copying issued by the Copyright Licensing Agency, Saffron House, 6–10 Kirby Street, London EC1N 8TS. Any person who does any unauthorized act in relation to this publication may be liable to criminal prosecution and civil claims for damages. The author has asserted his right to be identified as the author of this work in accordance with the Copyright, Designs and Patents Act 1988. First published 2014 by PALGRAVE MACMILLAN Palgrave Macmillan in the UK is an imprint of Macmillan Publishers Limited, registered in England, company number 785998, of Houndmills, Basingstoke, Hampshire RG21 6XS. Palgrave Macmillan in the US is a division of St Martin’s Press LLC, 175 Fifth Avenue, New York, NY 10010. Palgrave Macmillan is the global academic imprint of the ab
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